Similar Search Results

Financial distress and the business cycle

Suárez, Javier; Sussman, Oren - In: Oxford review of economic policy 15 (1999) 3, pp. 39-51

Persistent link: https://www.econbiz.de/10001516116

Liquidation discount : a novel application of ARFIMA-GARCH

Singh, Ranjodh B.; Gould, John; Chan, Felix; Yang, Wenling - In: Journal of empirical finance 36 (2016), pp. 151-161

Persistent link: https://www.econbiz.de/10011662835

Empirical tests on the asset pricing model with liquidity risk : an unobserved components approach

Fall, Malick; Louhichi, Waël; Viviani, Jean-Laurent - In: Economic modelling 80 (2019), pp. 75-86

Persistent link: https://www.econbiz.de/10012199186

Asymmetry in Liquidity Pricing in the Cross-Section and Time Series of Corporate Bond Returns

Dienemann, Fabian - 2020

downside liquidity for corporate bonds. While the evidence of illiquidity on risk premium in the cross-section of corporate … bonds is mixed, the aggregate liquidity asymmetry has a high explanatory power for the time series of market returns. It is … statistically and economically more significant than the innovation in traditional roundtrip liquidity costs. Some evidence suggests …

Persistent link: https://www.econbiz.de/10012835834

Measuring Uncertainty in Illiquid Markets

Cvijanovic, Dragana; Milcheva, Stanimira; Van de Minne, Alex - 2022

Employing a generalized Hamiltonian Monte Carlo Bayesian procedure we develop a new measure of real estate uncertainty that explicitly encapsulates conditional stochastic volatility and noise. When applied to commercial real estate (CRE) markets, results of Vector Autoregressive (VAR) modeling...

Persistent link: https://www.econbiz.de/10013403192

Forecasting cash holding with cash deposit using time series approaches

Kobpongkit Navapan; Liu, Jianxu; Songsak Sriboonchitta - In: Robustness in econometrics, (pp. 501-510). 2017

Persistent link: https://www.econbiz.de/10011801810

Hierarchical mortality forecasting with EVT tails : an application to solvency capital requirement

Li, Han; Chen, Hua - In: International journal of forecasting 40 (2024) 2, pp. 549-563

Persistent link: https://www.econbiz.de/10014547182

Dynamic Autoregressive Liquidity (DArLiQ)

Hafner, Christian M.; Linton, Oliver; Wang, Linqi - 2022

We introduce a new class of semiparametric dynamic autoregressive models for the Amihud illiquidity measure, which captures both the long-run trend in the illiquidity series with a nonparametric component and the short-run dynamics with an autoregressive component. We develop a GMM estimator...

Persistent link: https://www.econbiz.de/10013295967

A novel default risk prediction and feature importance analysis technique for marketplace lending using machine learning

Imam, Sana Hassan; Huhn, Sebastian; Hornuf, Lars; … - In: Credit and capital markets : Kredit und Kapital 56 (2023) 1, pp. 27-62

Marketplace lending has fundamentally changed the relationship between borrowers and lenders in financial markets. As with many other financial products that have emerged in recent years, internet-based investors may be inexperienced in marketplace lending, highlighting the importance of...

Persistent link: https://www.econbiz.de/10014518604

The analysis of the bankruptcy of enterprises exemplified by the Visegrad Group

Krajewski, Jarosław; Tokarski, Andrzej; Tokarski, Maciej - In: Journal of business economics and management 21 (2020) 2, pp. 593-609

The phenomenon of enterprises bankruptcy is an extremely complex process of economic, legal, social and even psychological nature. In the developed countries, the first studies on forecasting bankruptcy date to the early 20th century. In Central and Eastern Europe, due to, among other factors,...

Persistent link: https://www.econbiz.de/10012197644